For the tutorials provided by Zorro, it seems that all the strategy was run with 1 Lots when opening position. However, I don't think this is appropriate to evaluate the true performance of a strategy, since the risk of the instrument will change over time, hence 1 Lots doesn't account for the risk of the instrument.
Hence, I have a function that scale the number of Lots to the risk, whenever the strategy is going to open a position. My question is, should I set the Capital = 0? It seems that in this case then Zorro will just continue with 1 Lots, which is not what I wanted. But setting Capital to some numbers will be reinvesting, and hence not a true performance of the strategy?
For example, if I set Capital = 100000, and then increase to Capital = 1m, I notice the Sharpe ratio increases as well. This is weird, since increasing amount of capital shouldn't improve the risk-adjusted performance of a strategy.
Last edited by vicknick; 05/24/23 04:26.